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Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/24826
標題: 以RAROC衡量台灣金控與銀行業經營績效之研究
Using RAROC to Evaluate Taiwan's Financial Holdings and Banking Performance
作者: 包素美
Pao, Sui-Mei
關鍵字: 台灣金控;http://etds.lib.nchu.edu.tw/etdservice/view_metadata?etdun=U0005-2207201022240600;銀行業經營績效
出版社: 高階經理人碩士在職專班
引用: 1. 尹賢瑜(2000)，「銀行合併之決策模式」，台灣銀行季刊，第52卷，第3期，第19-39頁。 2. 江婕寧(2003)，「美國金融控股公司與非金融控股公司經營績效之比較—DEA之應用」，台灣大學國家發展研究所碩士論文。 3. 李依婷(2000)，「台灣金融機構合併之績效研究」，台灣大學三民主義研究所碩士論文。 4. 李建忠 (2004)，「以RAROC評估產險公司經營績效─以富邦產物保險公司為例」，國立政治大學風險管理與保險研究所碩士論文。 5. 邱建良、李彥賢、鄒易凭(2005)，「金融風暴對股市間波動性的連動性影響－ARJI模型」，真理財經學報，第13卷，第1-12頁。 6. 林政寬(2004)，「台灣金控公司的RAROC評估：VaR及ETL之應用」，國立中興大學企業管理學研究所碩士論文。 7. 郭秋榮(2009)，「全球金融風暴之成因對我國影響及因應對策之探討」，存款保險季刊，第21卷，第4期，第143-164頁。 8. 許瓊妮(2005)，「台灣地區金融控股公司風險值之實證分析」，國立中正大學國際經濟研究所碩士論文。 9. 陳公亮、蕭文姃(2005)，「亞洲金融風暴對我國銀行業財務績效之影響─縱橫資料迴歸模型之應用」，銘傳大學2005年第三屆「管理思維與實務」學術研討會論文集 10. 楊佳寧(2001)，「風險值及RAROC於基金績效評估之應用」，貨幣觀測與信用評等，第28期，第124-131頁。 11. 蔡德曠(2002)，「構建我國期貨商風險基礎資本適足制度及引用RAROC衡量報酬績效之研究」，銘傳大學金融研究所碩士論文。 12. 謝俊(2003)，「金融控股公司之風險管理與資本配置」，國立政治大學經營管理研究所碩士論文。 13. 聶建中、李文傳、洪榆雲(2004)，「金融風暴前後對先進國家之股匯市連動關係變化影響」，中華管理學報，第5卷，第2期，第19-35頁。 14. Berger, A. N., A. K. Kashyap and J. M. Scalise(1995), “The transformation of US banking industry: What a long, strange trip it’s been,” Brooking Papers on Economic Activity, vol. 2 , pp.55-218. 15. Berger, A. N. and D. B. Humphery(1992), “Megemegers in Banking and the Use of Cost Efficiency as an Antitrust Defense,” Antitrust Bulletin, vol. 37, pp. 541-600. 16. Brigham, E. F. and L. C. Gapenski(1988), Financial Management – Theory and Practice. 6th ed., The Dryden Press. 17. Brocato, J.(1994), “Evidence on Adjustments in Major National Stock Market Linkages over the 1980s,” Journal of Finance and Accounting, vol. 21, pp. 643-667. 18. Chan, K. C., B. E. Gup and M. S. Pan(1992), “An Empirical Analysis of Stock Prices in Major Asian Market and the United States,” Financial Review, pp. 289-307. 19. Chan, W. H. and J. M. Maheu(2002), “Conditional Jump Dynamics in StockMarket Return,” Journal of Business and Economic Statistics, vol. 20, pp.377-89. 20. Cheung, Y. L. and Y. K. Ho.(1991), “The Intertemporal Stability of the Relationships Between the Asian Emerging Equity Markets and the Developed Equity Markets,” Journal of Business Finance and Accounting, vol. 18, pp. 235-254. 21. Chowdhury, A. R.(1994), “Stock Market Interdependence: Evidence from the Asia NIEs,” Journal of Macroeconomics, vol. 16, pp. 629-651. 22. Culp, C. L.(2001), The Risk Management Process, New York: John Wiley & Sons. 23. Dowd, K.(2005), Measuring Market Risk, Chicshester, West Sussex, England New York, J. Wiley. 24. Fischer, K. P. and A. P. Palasvirta(1990), “ High Road to a Global Marketplace: the International Transmission of Stock Market Fluctuation,” Financial Review, vol. 25, pp. 371-394. 25. Francis, B. B. and L. L. Leachman (1998), "Superexogeneity and the dynamic linkages among international equity markets," Journal of International Money and Finance, vol. 17, pp. 475-492. 26. James, C.(1996), “RAROC Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation,” Wharton Financial Institutions Center’s conference on Risk Management in Banking. 27. Jang, H. and S. Wonsik(2002), “The Asian Financial Crisis and the Co-movement of Asian Stock Markets,” Journal of Asian Economics, vol. 13, pp. 94-104. 28. Jorion, P. (2000), Value at Risk: the new benchmark for controlling market risk, 2nd ed., Chicago: McGraw Hill. 29. Kasa, K.(1992),“Common Stochastic Trends in International Stock Market,” Journal of Monetary Economics, vol. 29, pp. 95-124. 30. Lawrence, S.(1985), “The Relationships Among Stock Indices on Asian-Pacific Exchanges,” Asia Pacific Journal of Management, vol3, pp. 42-50. 31. Masih, A. M. M. and R. Masih(1997), “Dynamic Linkages and the Propagation Mechanism Driving Major International Stock Markets: An Analysis of the Pre- and-Post-Crash Eras,” Quarterly Review of Economics and Finance, vol. 37, pp. 859-885. 32. Nasseh, A. and J. Strauss(2000), “Stock prices and domestic and international macroeconomic activity: A cointegration approach,” Quarterly Review of Economics and Finance, vol. 40, pp. 229-245. 33. Rhoades, S. A.(1998), “The Efficiency Effects of Bank Mergers An Overview of Case Studies of Nine Mergers,” Journal of Banking and Finance, vol. 22, pp. 273-291. 34. Scherer, F. M.(1980), Industrial market structure and economic performance, Houghton Mifflins. 35. Shearer, A. T., and L. R. Forest Jr(1998), “Improving Quantification of Risk-Adjusted Performance within Financial Institution,” Commercial Lending Review, vol. 13, pp. 48-57. 36. Vander Vennet, R.(1997), “Determinants of EU bank takeovers: A logit analysis,” Working Paper. 37. Zaik, E., J. Walter, G. Kelling and C. James(1996), “RAROC at Bank of AMERICA: From Theory to Practice,” Journal of Applied Corporate Finance, vol. 9, pp. 83-93.
摘要: 
後金融海嘯時期，金融機構之風險管理於組織中扮演的角色及參與決策的面向更形重要並多元，面臨高度挑戰；台灣地區傳統的風險管理模式及貢獻更應審慎檢視。
本研究透過文獻分析與模型測試，分析銀行與金控業者之經營績效，有別於過去傳統的經營績效分析工具，論文中採用風險調整資本報酬率(Risk-Adjusted Return on Capital， RAROC) 來探討目前各銀行與金融控股的風險涉險程度與經營績效表現。並分析2003到2009年金融機構之RORAC 績效，此外，本文亦觀察金融海嘯前後，RORAC之的差異表現，擬針對下列提出觀點及分析: 一、探討銀行與金控業者承受金融風暴之能力，分析銀行與金控業者金融風暴前後之風險調整資本報酬率，如此一來即能看出是否金融控股公司在金融風暴後之RAROC 仍然優於一般銀行業者。二、藉由RAROC，來進行台灣一般銀行與金融控股公司績效評估，了解銀行轉型為金控後，風險調整資本報酬率是否較一般銀行好。
實證結果可以發現，不論從RAROC或ROE的觀點來探討，金控業者比銀行有較較好之績效。此外，金融風暴的確充衝擊到銀行業與金控業者的營運績效，銀行業與金控業者風暴後期的RAROC及ROE顯著較風暴前期的RAROC及ROE差。本研究透過RAROC分析金融機構之經營績效，同時考量風險性與獲利性，因此能有效給予金控與銀行評比。

During post-financial-crisis era, risk management plays an important role in decision making in the financial institutions. Facing competition, traditional risk management model needs to be surveyed carefully.
Through literature analysis and model testing, this research tries to analyze banks and financial holdings' business performance. Different from the previous traditional business analytical tool, this paper use Risk-Adjusted Return on Capital to examine the banks and financial holdings' risk exposure level and business performance. I analyze financial institution's RORAC indicator in the year of 2003-2009. In addition, this paper reviews differences of RORAC performance in pre and post financial tsunami period. The empirical analysis includes: 1. examine the banks and financial holdings' capability of bearing financial crisis by comparing RORAC in pre and post financial tsunami period. Therefore I can check whether financial holdings' RORAC is better than banks RORAC during post-financial-crisis era; 2. using RORAC to evaluate banks and financial holdings' performance. When banks become financial holdings, I try to understand whether financial holdings' RORAC is better than traditional banks' RORAC.
Empirical evidence shows that no matter from the point of views of RAROC or ROE, financial holdings get better performance than banks. Besides, financial crisis indeed impact banks and financial holdings' performance. Banks and financial holdings' RAROC and ROE in the post-financial-crisis period is worse than that in the pre-financial-crisis period.
This paper analyze financial institutions' performance through RAROC that take risk as profitability into account simultaneously, therefore this tool can effectively provide rating mechanism to banks and financial holdings.
URI: http://hdl.handle.net/11455/24826
其他識別: U0005-2207201022240600
Appears in Collections:高階經理人碩士在職專班

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